Price Dynamics and Volatility Transmission in Cross-Listed Equity Index Futures Markets Suqin Gu 10027/19082 https://indigo.uic.edu/articles/thesis/Price_Dynamics_and_Volatility_Transmission_in_Cross-Listed_Equity_Index_Futures_Markets/10875545 This thesis explores price dynamics and volatility transmission in onshore and offshore equity index futures markets. The sample covers 10 most actively cross-traded equity index futures and 4 underlying indices at 5 major exchanges. Multiple statistical methods are employed to obtain results that are robust and consistent. For price dynamics, trading volume is found to be a critical factor in determining the leading market. For volatility transmission, there is significant volatility spillover between the markets. The squared deviations from long-run price equilibrium have a significant impact on the conditional volatility. This study extends prior research of unilateral lead and lag relationship in the price dynamics. It offers comprehensive and consistent explanations to summarize non-uniform prior findings. Moreover, this study supplies the literature with detailed analysis of the recently developed equity index futures. 2016-11-05 00:00:00 equity index futures stock market index price discovery volatility transmission error-correction model multivariate GARCH model frequency decomposition onshore and offshore markets